Showing 1 - 10 of 222
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10011161228
financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our … results suggest that contagion from dealer banks have the most prominent effect on the German financial system. While dealer …We examine contagion from a number of financial systems to the German financial system using the information content of …
Persistent link: https://www.econbiz.de/10010954915
This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of … more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms …
Persistent link: https://www.econbiz.de/10009372146
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in … which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales …
Persistent link: https://www.econbiz.de/10011093844
institutes in the sample. In stress tests, up to one fifth of the CDS spread changes are owing to financial contagion. These …
Persistent link: https://www.econbiz.de/10010957156
With this paper we seek to contribute to the literature on pension insurance systems. The financial literature tends to focus exclusively on the US pension insurance system. This is the first major empirical study to address the German occupational pension insurance (PSVaG) plan in Germany. The...
Persistent link: https://www.econbiz.de/10005059006
-varying characteristics of banks which are likely to influence the competition-risk taking channel. Third, we include different measures of …-specific market power, our results support the view that market power tends to reduce banks' default probability. In contrast, using … strong support that increased competition lowers the riskiness of banks. …
Persistent link: https://www.econbiz.de/10010957108
banks constantly. Thus, they usually obtain early warning signals that precede ultimate failure and, in fact, banks can be … distinguish four different distress events that banks experience. Only the worst entails a bank to exit the market. Weaker orders …
Persistent link: https://www.econbiz.de/10005082759
Banking supervision requires regular inspection and assessment of financial institutions. In Germany this task is carried out by the central bank ('Deutsche Bundesbank, BBK') in cooperation with the Federal Financial Supervisory Authority ('Bundesanstalt für Finanzdienstleistungsaufsicht,...
Persistent link: https://www.econbiz.de/10009277828
Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...
Persistent link: https://www.econbiz.de/10005083172